Reliability analysis

OSKAR LARSSON
Reliability as a concept
General definition
The ability to meet specific requirements under a specified
period

Mathematical definition in structural reliability

The probability that a system does not reach a defined limit
state under a given reference period.

2
Background
• During the second world war it became evident that the
reliability of complex technical installations was a problem
• As an example the modern warships at the time were
only operational for attack/defence in about 60 % of the
time
• Similar effects were observed on the reliability of e.g. the
V1l V2 rocket systems -the first of many launches were
unsuccessful
• These events were the real initiators of the reliability
theory for technical components and systems

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Background
• lnitially the reliability theory was developed for systems
with a large number of {semi-} identical components
subject to the same exposure conditions
– electrical systems {bulbs, switches, .. }

• and later on to
– nuclear power installations {valves, pipes, pumps, .. }
– chemical plants (pipes, pressure vessels, valves,
pumps, .. }
– manufacturing plants (pumps, compressors,
conveyers, .. }
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Background
• For such systems the probability of a
component failure may be assessed in a
frequentistic manner – from observed failure
rates – number of failures per component
operation hours
• Due to the characteristics of the failure
mechanism there is a steady deterioration as
a function of time/use
• For the considered components the main
concern was centered around the statistical
modeling of time until failure

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Background
• For technical systems such as structures and structural
components the classical reliability analysis is of limited
use because
– all structural components are unique
– the failure mechanism tends to be related to extreme
load events exceeding the residual capacity of the
component- not the direct effect of deterioration alone
• For such systems a different approach is thus required,
namely
– an individual modeling of both the resistance as a
function of time and the loading as a function of time
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Connection to previous lectures
• Basic statistics:
– Distributions, (mean, std. deviation, parameters)
– Probability of failure
– Standard normal distribution
• Introduction
– Codes and standards, partial coefficients
– Limit states
– Modeling of uncertainties

7
Methods to measure reliability
• Level I method
Uncertain parameters are modelled by one characteristic
value, e.g. code based on partial coefficent method

• Level II method
Uncertain parameters modelled by the mean values and
the standard deviations and by the correlation coefficietns
between stochastic vairables. The stochastic variables are
implicitly assumed to be normally distributed. The reliability
index method is an example of a level II method

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Methods to measure reliability
• Level III method
Uncertain quantities are modelled by their joint distribution
functions. The probability of failure is estimated as a
measure of the reliability

• Level IV method
Consequences (cost) of failure are also taken into account

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Deterministic reliability measures
(Level I)

• Single safety factor

• Partial safety factors

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Safety factor
• Safety factor is a traditional measure on reliability

Design condition: G+Q<R/s

where s is safety factor > 1

• G,Q and R are ”nominal” values not necessarily defined

in statistical terms
• Differences in uncertainty between basic parameters are
not considered, e.g. G och Q.

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Partial safety factor format

Rk
Rd   (Gk  G  Qk  Q )  S d
R
Index k denotes characteristic value
Characteristic values are defined in statistical terms
i denote partial safety factors reflecting different degree of
uncertainty for basic parameters

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Implicit and generic risk analysis
behind modern structural codes
• Consequences and risk acceptance in the society are
implicitly considered in modern structural codes
• The results are presented in terms of required levels of
formal reliability in different situations
• This means that the decision problem when designing a
structure is transformed to a verification that the
probability of violation of the limit state is lower that a
prescribed level.
• Modern structural codes are often called limit state
design codes

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Probabilistic reliability measures

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Structural reliability
Reliability of structures cannot be assessed
through failure rates because:

- Structures are unique in nature

- Structural failures normally take place due
to extreme loads exceeding the residual
strength

Therefore in structural reliability, models

are established for resistances R and loads
S individually and the structural reliability is
assessed through the probability of failure

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Probability of failure, reliability
Probability of failure pf = P(R-S<0)
Reliability = 1- pf

Design of a new structure

Design the structure so that pf is less than target value

Verification of existing structure

Check if pf is less than target value

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Main steps in reliability analysis
1. Select a target reliability level (safety or consequence
class)
2. Identify significant failure modes (deflection, bending)
3. Formulate limit state functions (g(E,R) = MEd – MRd = 0)
4. Identify stochastic variables and deterministic
parameters. Specify distribution types and statistical
parameters
5. Estimate reliability of each failure mode
6. Change design if reliabiliy does not meat target reliabilty
7. Evaluate reliability result by a sensitivity analysis
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 Structural Engineering Decision
Problem:
Optimal Design:
Expected Benefit of the Structure
Benefit of the Structure in Service

Reliability Risk
E  B 
E  B   I 1  PF  CD    CD  CF PF  CD   0
CD

Benefit
But what is a proper
target reliability???

Risk
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Cost
Theory of Structural
Reliability

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Failure
In general defined as: capacity < demand
resistance < load effect

e.g. a beam in bending:

Gl
f mW  r  s 
4
BUT - resistance and load effect are uncertain !!!
First assume that r and s are Normal distributed
random variables with known mean values and
standard deviations.
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Probability of failure
The probability, that
resistance < load effect

Gl
R  f mW ; S 
4
PF  P  R  S   P  R  S  0 

S ~ N  S ,  S  R ~ N  R , R 

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Probability of failure
The probability, that
resistance < load effect

Gl
R  f mW ; S  Definition:
4 Safety margin
PF  P  R  S   P  R  S  0  M=R-S
Probability Density

S ~ N  S ,  S  R ~ N  R , R 

M ~ N  M ,  M 
M  R  S
 M2   R2   S2

The probability, that

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Probability of failure
The probability, that
resistance < load effect
Gl
R  f mW ; S 
4
PF  P  R  S   P  R  S  0   P  M  0 
Probability Density

0
 0  M 
PF   f M  m  dm    
   M 

The probability, that

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Probability of failure
The probability, that
resistance < load effect
Gl
R  f mW ; S 
4
PF  P  R  S   P  R  S  0   P  M  0 
fM  m
Probability Density

0
 0  M 
PF   f M  m  dm         
  M 

Reliability Index
The probability, that
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Reliability Index (Safety index)
 M 
PF          
 M 

Probability Density Geometrical interpretation:

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  PF
Reliability Index 0
1
0.5
0.158655
2 0.02275
 M 
PF          
3 0.00135
 M  4 3.17E‐05
5 2.87E‐07
6 9.87E‐10
Geometrical interpretation:
7 1.28E‐12
8 6.22E‐16
Probability Density



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Safety class

• The reliability index (probability of failure) is

governing the safety class used in the partial safety
factor method

Safety Reliability Probability Part. Safety

class index of failure factor
1 Less 3,7 10-4 0,83
serious
2 Serious 4,3 10-5 0,91
3 Very 4,7 10-6 1,0
serious

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Summary
If R and S are Normal distributed
the safety margin M is also Normal M=R–S
Distributed
The probability of failure is then PF = P(R-S<0) = P(M<0)
With mean value of M μM = μR - μS

And standard deviation

0
The probability of failure Ф Ф

Where the reliability index is β = μM /σM

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Example

A steel rod with a diameter of 20 mm is subjected to a tendon

force Q

Q Q

Tensile strength: ft μ = 200 MPa COV = 15 %

Q μ = 30 kN COV = 20 %

Calculate safety index and probability of failure

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Reliability Analysis, the general case
Limit state function general case
In the general case the resistance and the load may be defined in
terms of functions where X are basic random variables

R = f1(X), S = f2(X)
M= R-S = f1(X)-f2(X) = g(X)

The limit state function should be defined so that

M= g(X) > 0 corresponds to the safe state
M= g(X) < 0 corresponds to the failure state

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Illustration for the general case with
random variables

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Probability of failure Pf
Pf =P(M0) = P(g(X)0) X = (x1,.....xn )

Introduce the joint probability density function fX(X)

Then

Pf   f X ( X )dX
f
where f is the failure region defined by
the limit state function

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 Reliability Analysis, the general case

where fX(x) is the joint probability

density function for the basic random
variables X
For the 2-dimensional case the failure
probability simply corresponds to the
integral under the joint probability
density function in the area of failure

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Analysis methods in reliability analysis
• Analytical methods (only in very special cases)
• First Order Reliability Methods (FORM)
• Second Order Reliability Methods (SORM)
• Simulation techniques

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Special case: linear limit state function with normal
distributed, independent random variables

M  g ( X 1 ... X n )  a 0  a 1 X 1  ... a n X n

 M  a0  a1 x1  ....an  xn

If Xi are independent, then

 M  a12 X2  ...an2 X2 and the safety index  is given by

1 n

M Cornell safety index


M
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Hasofer-Lind safety index
The Cornell safety index is not invariant with respect to the
form of the limit state function

Can be solved by transformation of the random variables Xi

to normalized variables Ui :
X i   Xi
Ui 
 Xi

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Reliability analysis , the general case

X  X
U Standard Normal

X Y  0
Y  1 Scaling
Normal

Shift
X
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Non-linear failure function
The failure function can be linearized by Taylor expansion:
n
g
*
M  g (u )  U i
(U i  u * )
1 u u *

where u* is the design point

This is the first order approximation (FORM)

If one more term is included in the expansion we have a
“second order” approximation (SORM)

Note that u* is not known at the outset, and has to be found

by iteration
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Geometrical interpretation
The safety index  is the shortest
distance from the failure surface
to the origin in the normalised
space U

The point u* on the failure

surface is called the design point

The components of the unit

vector  of the normal to the
failure surface in the point u*
describes the relative importance
(or sensitivities) of the random
variables.

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Geometrical interpretation
Usually the limit state function is
non-linear
- this small phenomenon caused
the so-called invariance problem

Hasofer & Lind suggested to linearize

the limit state function in the design
point
- this solved the invariance problem

The reliability index may then be

determined by the following
optimization problem

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Iteration process
The optimization problem can be
formulatedas an iteration problem

1) the design point is determined as u=β·α

2) the normal vector to the limit state

function is determined as

3) the safety index is determined as

4) a new design point is determined as

5) the above steps are continued until

convergence in is attained
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Iteration process

• There are two alternative procedures for solving the

iteration problem:

- The simultaneous equation procedure (shown in

the next example)

- The matrix procedure

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Example 2
Consider the steel rod with cross- h = r ·a
sectional area a and yield stress r

The rod is loaded with the tension force s s s

The limit state function can then be g(x) = r · a - s

written as

r, a and s are uncertain and modeled by μR = 350, σR = 35

normal distributed random variables μA = 10, σA = 1
μS = 1500, σS = 300
we would like to calculate the probability
of Failure and safety index

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Example 2
The initial step is to transform the basic random variables into
standardized Normal distributed space.

Then we write the limit state function in terms of the realizations of

the standardized Normal distributed random variables.

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Example 2
Choose an arbitrary first design point u = βα

Limit state function

g(u) = 350βαR + 350βαA - 300βαS + 35 βαR βαA + 2000

The safety index is determined by

g(u) = 0

This gives

2000
350 350 300 35

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Example 2
Normal vector at this point

Derivate the limit state function

∙ 350 35 ∙ 350 35

∙ 300
Then
350 35
350 35 350 35 300

350 35
350 35 350 35 300

300
350 35 350 35 300 46
Example 2 – Summary
Safety index:

Derivated limit state function ∙ 350 35

∙ 350 35 ∙ 300

Normal vector

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Example 2 – Iteration
Start 1 2 3 4 5 6 7
β 3 -3.9604 3.162993 3.764099 3.74638 3.744948 3.744835 3.744826
αR 1 -0.64088 -0.63663 -0.56327 -0.56049 -0.56102 -0.56099 -0.561
αA 1 -0.64088 -0.63663 -0.56327 -0.56049 -0.56102 -0.56099 -0.561
αS 1 0.422556 0.435216 0.604532 0.609681 0.60869 0.608749 0.60874
∂g/duR 455 438.8344 279.5224 275.7932 276.5072 276.4648 276.4712 276.4707
∂g/duA 455 438.8344 279.5224 275.7932 276.5072 276.4648 276.4712 276.4707
∂g/duS -300 -300 -300 -300 -300 -300 -300 -300

Safety index: 3.74

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FORM with non-normal random
variables
An arbitrary distribution function FX with density function f X may
be transformed to an equivalent standardized normal distribution
in a point x so that the distribution function value and the density
function value are the same:
 xi  i  1 xi  i
   FX i ( xi ) ( )  f X i ( xi )
  i   i  i
This transformation is made in each iteration step

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FORM with correlated, non-normal
variables

The random variables are transformed to the U-

space of uncorrelated and normalized variables. Two
alternative methods may be used:

• The Rosenblatt transformation

• The Nataf transformation

The education software COMREL uses the

Rosenblatt transformation

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Second order reliability method
(SORM)
• Is a more exact method since the expansion of the non-linear
limit state function also includes the second order derivatives of
g(X)

Original limit state function

SORM

FORM

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Comparison FORM - SORM
• The difference is small for cases with large safety
index (or low probability of failure)
• For higher probability of failure the error in the FORM
approximation can be significant

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 Monte Carlo Simulation
• Instead of calculating the reliability index, i.e. the failure probability
analytically – it might be much easier to run virtual experiments
based on the probabilistic models and the limit state function.
Random number

FX i ( xi ) 20

1 18

16
zj
14
xi
xj 12

Resistance
Random outcome of X 10

nf 6

pf  4
m
2

0
53 -2 0 2 4 6 8 10 12
Load
Simulation methods

• Crude Monte Carlo simulation (simple but time

consuming for low values of pf )
• Importance sampling
• Directional simulation
• Latin Hypercube simulation
• Adaptive simulation methods

Simulation methods can also be used in the case of

implicit limit state functions (e.g. FEM models)

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